Seeing you are running EV10 already, there is lots of docs available on how to configure EV10 to archive from EX2010. It might be advisable to use the SynchInMigrationMode registry key, as this should prevent existing users to get a new archive.

Very high level:

Create mailbox for VSA, on Ex2010. Run powershell scripts to disable throttling for that. Create systemmailbox per DAG, make sure to follow the steps to make the active and passive dag's known to EV. Run powershell scripts to set permissions.

See Installing and Configuring.pdf, Additional Requiements for Exchange server archiving. That has good documentation on the steps needed.

As soon as your moved users have been reprovisioned, now known as being on the Ex2010 servers, you need to make sure that MSMQ's belonging to the old Exchange servers are empty, and not getting any new items in there. When that is ok, you can delete the tasks, then delete the target (exchange) servers. If required, you can also delete the belonging MSMQ's, but that is not really necessary.

I have read through and understand what you say but there is a gap in what needs to happen which I hope you can expand on.

This part makes sense;
"Create mailbox for VSA, on Ex2010. Run powershell scripts to disable throttling for that. Create systemmailbox per DAG, make sure to follow the steps to make the active and passive dag's known to EV. Run powershell scripts to set permissions."

And as far as I can understand from the installing and configuring doc, this covers the prerequisites.

But what do I do next to add Exchange 2010 in to Vault? Do I re-run the EV Configuration Wizard?

What I don't want to do is break the 2003 stuff, though it will be going next week.